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                            <div id="projectname">Limit Order Book
                                &#160;<span id="projectnumber">2.0.0</span>
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  <ul>
<li class="navelem"><a class="el" href="namespace_l_o_b.html">LOB</a></li><li class="navelem"><a class="el" href="class_l_o_b_1_1_limit_order_book.html">LimitOrderBook</a></li>  </ul>
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  <div class="summary">
<a href="#pub-methods">Public Member Functions</a> &#124;
<a href="class_l_o_b_1_1_limit_order_book-members.html">List of all members</a>  </div>
  <div class="headertitle">
<div class="title">LOB::LimitOrderBook Class Reference</div>  </div>
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<p>An order book for managing <a class="el" href="struct_l_o_b_1_1_limit.html" title="A price limit containing a FIFO queue of Order objects.">Limit</a> / <a class="el" href="struct_l_o_b_1_1_order.html" title="A single order in the LimitOrderBook.">Order</a> objects in a continuous double auction.  
 <a href="class_l_o_b_1_1_limit_order_book.html#details">More...</a></p>

<p><code>#include &lt;<a class="el" href="limit__order__book_8hpp_source.html">limit_order_book.hpp</a>&gt;</code></p>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a36759fa79596b1d2d9e2af07ab8954fd"><td class="memItemLeft" align="right" valign="top"><a id="a36759fa79596b1d2d9e2af07ab8954fd"></a>
&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a36759fa79596b1d2d9e2af07ab8954fd">LimitOrderBook</a> ()</td></tr>
<tr class="memdesc:a36759fa79596b1d2d9e2af07ab8954fd"><td class="mdescLeft">&#160;</td><td class="mdescRight">Initialize a new limit order book object. <br /></td></tr>
<tr class="separator:a36759fa79596b1d2d9e2af07ab8954fd"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a25db4d825c1f8504e8be5dae532dbb87"><td class="memItemLeft" align="right" valign="top"><a id="a25db4d825c1f8504e8be5dae532dbb87"></a>
void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a25db4d825c1f8504e8be5dae532dbb87">clear</a> ()</td></tr>
<tr class="memdesc:a25db4d825c1f8504e8be5dae532dbb87"><td class="mdescLeft">&#160;</td><td class="mdescRight">Clear all the orders in the book. <br /></td></tr>
<tr class="separator:a25db4d825c1f8504e8be5dae532dbb87"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a5c93f74cfed393b21ef5b88787b95b79"><td class="memItemLeft" align="right" valign="top">void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a5c93f74cfed393b21ef5b88787b95b79">limit_sell</a> (<a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a> order_id, <a class="el" href="namespace_l_o_b.html#a1d5eee8595d35bc6f2b8372e44cd8dd7">Quantity</a> quantity, <a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> <a class="el" href="class_l_o_b_1_1_limit_order_book.html#acbdb9e8e207eed2924ef09c4b49472a6">price</a>)</td></tr>
<tr class="memdesc:a5c93f74cfed393b21ef5b88787b95b79"><td class="mdescLeft">&#160;</td><td class="mdescRight">Add a new sell limit order to the book.  <a href="class_l_o_b_1_1_limit_order_book.html#a5c93f74cfed393b21ef5b88787b95b79">More...</a><br /></td></tr>
<tr class="separator:a5c93f74cfed393b21ef5b88787b95b79"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a1fc2e7e8d44b57c21be04aea96a208ef"><td class="memItemLeft" align="right" valign="top">void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a1fc2e7e8d44b57c21be04aea96a208ef">limit_buy</a> (<a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a> order_id, <a class="el" href="namespace_l_o_b.html#a1d5eee8595d35bc6f2b8372e44cd8dd7">Quantity</a> quantity, <a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> <a class="el" href="class_l_o_b_1_1_limit_order_book.html#acbdb9e8e207eed2924ef09c4b49472a6">price</a>)</td></tr>
<tr class="memdesc:a1fc2e7e8d44b57c21be04aea96a208ef"><td class="mdescLeft">&#160;</td><td class="mdescRight">Add a new buy limit order to the book.  <a href="class_l_o_b_1_1_limit_order_book.html#a1fc2e7e8d44b57c21be04aea96a208ef">More...</a><br /></td></tr>
<tr class="separator:a1fc2e7e8d44b57c21be04aea96a208ef"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a0701f5738fba67af36a47983c38dd9c1"><td class="memItemLeft" align="right" valign="top">void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a0701f5738fba67af36a47983c38dd9c1">limit</a> (<a class="el" href="namespace_l_o_b.html#ac0757a974349160aa795b45451948db6">Side</a> side, <a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a> order_id, <a class="el" href="namespace_l_o_b.html#a1d5eee8595d35bc6f2b8372e44cd8dd7">Quantity</a> quantity, <a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> <a class="el" href="class_l_o_b_1_1_limit_order_book.html#acbdb9e8e207eed2924ef09c4b49472a6">price</a>)</td></tr>
<tr class="memdesc:a0701f5738fba67af36a47983c38dd9c1"><td class="mdescLeft">&#160;</td><td class="mdescRight">Add a new order to the book.  <a href="class_l_o_b_1_1_limit_order_book.html#a0701f5738fba67af36a47983c38dd9c1">More...</a><br /></td></tr>
<tr class="separator:a0701f5738fba67af36a47983c38dd9c1"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a967430745df666a98b00d169bf14cee3"><td class="memItemLeft" align="right" valign="top">bool&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a967430745df666a98b00d169bf14cee3">has</a> (<a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a> order_id) const</td></tr>
<tr class="memdesc:a967430745df666a98b00d169bf14cee3"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return true if the book has an order with given ID, false otherwise.  <a href="class_l_o_b_1_1_limit_order_book.html#a967430745df666a98b00d169bf14cee3">More...</a><br /></td></tr>
<tr class="separator:a967430745df666a98b00d169bf14cee3"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a47a0fe3f7ac4da1b6ce80e0902ef0473"><td class="memItemLeft" align="right" valign="top">const <a class="el" href="struct_l_o_b_1_1_order.html">Order</a> &amp;&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a47a0fe3f7ac4da1b6ce80e0902ef0473">get</a> (<a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a> order_id)</td></tr>
<tr class="memdesc:a47a0fe3f7ac4da1b6ce80e0902ef0473"><td class="mdescLeft">&#160;</td><td class="mdescRight">Get the order with given ID.  <a href="class_l_o_b_1_1_limit_order_book.html#a47a0fe3f7ac4da1b6ce80e0902ef0473">More...</a><br /></td></tr>
<tr class="separator:a47a0fe3f7ac4da1b6ce80e0902ef0473"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:af94adea77f7dad19b4dd061d69a96d91"><td class="memItemLeft" align="right" valign="top">void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#af94adea77f7dad19b4dd061d69a96d91">cancel</a> (<a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a> order_id)</td></tr>
<tr class="memdesc:af94adea77f7dad19b4dd061d69a96d91"><td class="mdescLeft">&#160;</td><td class="mdescRight">Cancel an existing order in the book.  <a href="class_l_o_b_1_1_limit_order_book.html#af94adea77f7dad19b4dd061d69a96d91">More...</a><br /></td></tr>
<tr class="separator:af94adea77f7dad19b4dd061d69a96d91"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:abbc7458a5a780d29e57122bb4d233db5"><td class="memItemLeft" align="right" valign="top">void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#abbc7458a5a780d29e57122bb4d233db5">reduce</a> (<a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a> order_id, <a class="el" href="namespace_l_o_b.html#a1d5eee8595d35bc6f2b8372e44cd8dd7">Quantity</a> quantity)</td></tr>
<tr class="memdesc:abbc7458a5a780d29e57122bb4d233db5"><td class="mdescLeft">&#160;</td><td class="mdescRight">Reduce the quantity of the order with given ID.  <a href="class_l_o_b_1_1_limit_order_book.html#abbc7458a5a780d29e57122bb4d233db5">More...</a><br /></td></tr>
<tr class="separator:abbc7458a5a780d29e57122bb4d233db5"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:abc553a89a69dba889a5d338645376dce"><td class="memItemLeft" align="right" valign="top">void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#abc553a89a69dba889a5d338645376dce">market_sell</a> (<a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a> order_id, <a class="el" href="namespace_l_o_b.html#a1d5eee8595d35bc6f2b8372e44cd8dd7">Quantity</a> quantity)</td></tr>
<tr class="memdesc:abc553a89a69dba889a5d338645376dce"><td class="mdescLeft">&#160;</td><td class="mdescRight">Execute a sell market order.  <a href="class_l_o_b_1_1_limit_order_book.html#abc553a89a69dba889a5d338645376dce">More...</a><br /></td></tr>
<tr class="separator:abc553a89a69dba889a5d338645376dce"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a64a58b51c467ef7ffcf97d806f5282ca"><td class="memItemLeft" align="right" valign="top">void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a64a58b51c467ef7ffcf97d806f5282ca">market_buy</a> (<a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a> order_id, <a class="el" href="namespace_l_o_b.html#a1d5eee8595d35bc6f2b8372e44cd8dd7">Quantity</a> quantity)</td></tr>
<tr class="memdesc:a64a58b51c467ef7ffcf97d806f5282ca"><td class="mdescLeft">&#160;</td><td class="mdescRight">Execute a buy market order.  <a href="class_l_o_b_1_1_limit_order_book.html#a64a58b51c467ef7ffcf97d806f5282ca">More...</a><br /></td></tr>
<tr class="separator:a64a58b51c467ef7ffcf97d806f5282ca"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a1c7a81804946e116e376c550154a092d"><td class="memItemLeft" align="right" valign="top">void&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a1c7a81804946e116e376c550154a092d">market</a> (<a class="el" href="namespace_l_o_b.html#ac0757a974349160aa795b45451948db6">Side</a> side, <a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a> order_id, <a class="el" href="namespace_l_o_b.html#a1d5eee8595d35bc6f2b8372e44cd8dd7">Quantity</a> quantity)</td></tr>
<tr class="memdesc:a1c7a81804946e116e376c550154a092d"><td class="mdescLeft">&#160;</td><td class="mdescRight">Execute a market order.  <a href="class_l_o_b_1_1_limit_order_book.html#a1c7a81804946e116e376c550154a092d">More...</a><br /></td></tr>
<tr class="separator:a1c7a81804946e116e376c550154a092d"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:afd8dd7bccdcffee233c780fe445e1c01"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#afd8dd7bccdcffee233c780fe445e1c01">best_sell</a> () const</td></tr>
<tr class="memdesc:afd8dd7bccdcffee233c780fe445e1c01"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the best sell price.  <a href="class_l_o_b_1_1_limit_order_book.html#afd8dd7bccdcffee233c780fe445e1c01">More...</a><br /></td></tr>
<tr class="separator:afd8dd7bccdcffee233c780fe445e1c01"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a7b2ad9b29403af9a5079176aefb009ce"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a7b2ad9b29403af9a5079176aefb009ce">best_buy</a> () const</td></tr>
<tr class="memdesc:a7b2ad9b29403af9a5079176aefb009ce"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the best buy price.  <a href="class_l_o_b_1_1_limit_order_book.html#a7b2ad9b29403af9a5079176aefb009ce">More...</a><br /></td></tr>
<tr class="separator:a7b2ad9b29403af9a5079176aefb009ce"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a387f091324bb052d38c8532ab508ab7c"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a387f091324bb052d38c8532ab508ab7c">best</a> (<a class="el" href="namespace_l_o_b.html#ac0757a974349160aa795b45451948db6">Side</a> side) const</td></tr>
<tr class="memdesc:a387f091324bb052d38c8532ab508ab7c"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the best price for the given side.  <a href="class_l_o_b_1_1_limit_order_book.html#a387f091324bb052d38c8532ab508ab7c">More...</a><br /></td></tr>
<tr class="separator:a387f091324bb052d38c8532ab508ab7c"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:acbdb9e8e207eed2924ef09c4b49472a6"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#acbdb9e8e207eed2924ef09c4b49472a6">price</a> () const</td></tr>
<tr class="memdesc:acbdb9e8e207eed2924ef09c4b49472a6"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the current price of the asset.  <a href="class_l_o_b_1_1_limit_order_book.html#acbdb9e8e207eed2924ef09c4b49472a6">More...</a><br /></td></tr>
<tr class="separator:acbdb9e8e207eed2924ef09c4b49472a6"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a921ec224ef6f9b7f3033f8d56b452da6"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a921ec224ef6f9b7f3033f8d56b452da6">last_best_sell</a> () const</td></tr>
<tr class="memdesc:a921ec224ef6f9b7f3033f8d56b452da6"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the last best sell price.  <a href="class_l_o_b_1_1_limit_order_book.html#a921ec224ef6f9b7f3033f8d56b452da6">More...</a><br /></td></tr>
<tr class="separator:a921ec224ef6f9b7f3033f8d56b452da6"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:ac9bdd886adeb616798dab28ab8e07ab1"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#ac9bdd886adeb616798dab28ab8e07ab1">last_best_buy</a> () const</td></tr>
<tr class="memdesc:ac9bdd886adeb616798dab28ab8e07ab1"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the last best buy price.  <a href="class_l_o_b_1_1_limit_order_book.html#ac9bdd886adeb616798dab28ab8e07ab1">More...</a><br /></td></tr>
<tr class="separator:ac9bdd886adeb616798dab28ab8e07ab1"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a8aba12b5f75a21fe026e85606cbca2fd"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a8aba12b5f75a21fe026e85606cbca2fd">last_best</a> (<a class="el" href="namespace_l_o_b.html#ac0757a974349160aa795b45451948db6">Side</a> side) const</td></tr>
<tr class="memdesc:a8aba12b5f75a21fe026e85606cbca2fd"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the best price for the given side.  <a href="class_l_o_b_1_1_limit_order_book.html#a8aba12b5f75a21fe026e85606cbca2fd">More...</a><br /></td></tr>
<tr class="separator:a8aba12b5f75a21fe026e85606cbca2fd"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:ad69a10a7e1f026a2e055678b493533fa"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#ad69a10a7e1f026a2e055678b493533fa">last_price</a> () const</td></tr>
<tr class="memdesc:ad69a10a7e1f026a2e055678b493533fa"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the current price of the asset using last prices.  <a href="class_l_o_b_1_1_limit_order_book.html#ad69a10a7e1f026a2e055678b493533fa">More...</a><br /></td></tr>
<tr class="separator:ad69a10a7e1f026a2e055678b493533fa"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:aa767c4ecce229b3393159ffd1cf481bb"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0860e916768a8e3baaadf73c1a6f9c58">Volume</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#aa767c4ecce229b3393159ffd1cf481bb">volume_sell</a> (<a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> <a class="el" href="class_l_o_b_1_1_limit_order_book.html#acbdb9e8e207eed2924ef09c4b49472a6">price</a>) const</td></tr>
<tr class="memdesc:aa767c4ecce229b3393159ffd1cf481bb"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the total volume for the sell side of the book.  <a href="class_l_o_b_1_1_limit_order_book.html#aa767c4ecce229b3393159ffd1cf481bb">More...</a><br /></td></tr>
<tr class="separator:aa767c4ecce229b3393159ffd1cf481bb"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a7eade388226acdf65eb9804e90339cc3"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0860e916768a8e3baaadf73c1a6f9c58">Volume</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a7eade388226acdf65eb9804e90339cc3">volume_sell</a> () const</td></tr>
<tr class="memdesc:a7eade388226acdf65eb9804e90339cc3"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the total volume for the sell side of the book.  <a href="class_l_o_b_1_1_limit_order_book.html#a7eade388226acdf65eb9804e90339cc3">More...</a><br /></td></tr>
<tr class="separator:a7eade388226acdf65eb9804e90339cc3"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:ac03f86cfcc50a37b72c6d7f443c57123"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0860e916768a8e3baaadf73c1a6f9c58">Volume</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#ac03f86cfcc50a37b72c6d7f443c57123">volume_sell_best</a> () const</td></tr>
<tr class="memdesc:ac03f86cfcc50a37b72c6d7f443c57123"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the volume at the best sell price.  <a href="class_l_o_b_1_1_limit_order_book.html#ac03f86cfcc50a37b72c6d7f443c57123">More...</a><br /></td></tr>
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<tr class="memitem:a7d1612e63e88d3dc75046d3d653f1312"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0860e916768a8e3baaadf73c1a6f9c58">Volume</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a7d1612e63e88d3dc75046d3d653f1312">volume_buy</a> (<a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> <a class="el" href="class_l_o_b_1_1_limit_order_book.html#acbdb9e8e207eed2924ef09c4b49472a6">price</a>) const</td></tr>
<tr class="memdesc:a7d1612e63e88d3dc75046d3d653f1312"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the total volume for the buy side of the book.  <a href="class_l_o_b_1_1_limit_order_book.html#a7d1612e63e88d3dc75046d3d653f1312">More...</a><br /></td></tr>
<tr class="separator:a7d1612e63e88d3dc75046d3d653f1312"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a23f833cfd794e37a0eb0dc0d1518b832"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0860e916768a8e3baaadf73c1a6f9c58">Volume</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a23f833cfd794e37a0eb0dc0d1518b832">volume_buy</a> () const</td></tr>
<tr class="memdesc:a23f833cfd794e37a0eb0dc0d1518b832"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the total volume for the buy side of the book.  <a href="class_l_o_b_1_1_limit_order_book.html#a23f833cfd794e37a0eb0dc0d1518b832">More...</a><br /></td></tr>
<tr class="separator:a23f833cfd794e37a0eb0dc0d1518b832"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:aba2ae20f97a5e485dc04c7eee730b877"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0860e916768a8e3baaadf73c1a6f9c58">Volume</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#aba2ae20f97a5e485dc04c7eee730b877">volume_buy_best</a> () const</td></tr>
<tr class="memdesc:aba2ae20f97a5e485dc04c7eee730b877"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the volume at the best sell price.  <a href="class_l_o_b_1_1_limit_order_book.html#aba2ae20f97a5e485dc04c7eee730b877">More...</a><br /></td></tr>
<tr class="separator:aba2ae20f97a5e485dc04c7eee730b877"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:ac9b18049862c09ce70c87d679a83bd9f"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0860e916768a8e3baaadf73c1a6f9c58">Volume</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#ac9b18049862c09ce70c87d679a83bd9f">volume</a> (<a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> <a class="el" href="class_l_o_b_1_1_limit_order_book.html#acbdb9e8e207eed2924ef09c4b49472a6">price</a>) const</td></tr>
<tr class="memdesc:ac9b18049862c09ce70c87d679a83bd9f"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the volume at the given limit price.  <a href="class_l_o_b_1_1_limit_order_book.html#ac9b18049862c09ce70c87d679a83bd9f">More...</a><br /></td></tr>
<tr class="separator:ac9b18049862c09ce70c87d679a83bd9f"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a38ef9caa257416d0290749d3e33662e8"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a0860e916768a8e3baaadf73c1a6f9c58">Volume</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a38ef9caa257416d0290749d3e33662e8">volume</a> () const</td></tr>
<tr class="memdesc:a38ef9caa257416d0290749d3e33662e8"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the total volume for the book.  <a href="class_l_o_b_1_1_limit_order_book.html#a38ef9caa257416d0290749d3e33662e8">More...</a><br /></td></tr>
<tr class="separator:a38ef9caa257416d0290749d3e33662e8"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a467bc9491b867ec41ae85a1b93953717"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a98c8cdadc7da7cd760e1a6dede850854">Count</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a467bc9491b867ec41ae85a1b93953717">count_at</a> (<a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> <a class="el" href="class_l_o_b_1_1_limit_order_book.html#acbdb9e8e207eed2924ef09c4b49472a6">price</a>) const</td></tr>
<tr class="memdesc:a467bc9491b867ec41ae85a1b93953717"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the total number of orders at the given limit price.  <a href="class_l_o_b_1_1_limit_order_book.html#a467bc9491b867ec41ae85a1b93953717">More...</a><br /></td></tr>
<tr class="separator:a467bc9491b867ec41ae85a1b93953717"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a3f67e339651390feb7171cea1bbd5c91"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a98c8cdadc7da7cd760e1a6dede850854">Count</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a3f67e339651390feb7171cea1bbd5c91">count_sell</a> () const</td></tr>
<tr class="memdesc:a3f67e339651390feb7171cea1bbd5c91"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the total number of orders on the sell side of the book.  <a href="class_l_o_b_1_1_limit_order_book.html#a3f67e339651390feb7171cea1bbd5c91">More...</a><br /></td></tr>
<tr class="separator:a3f67e339651390feb7171cea1bbd5c91"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a7b32433cbe16525043683dd76b5eebc4"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a98c8cdadc7da7cd760e1a6dede850854">Count</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a7b32433cbe16525043683dd76b5eebc4">count_buy</a> () const</td></tr>
<tr class="memdesc:a7b32433cbe16525043683dd76b5eebc4"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the total number of orders on the buy side of the book.  <a href="class_l_o_b_1_1_limit_order_book.html#a7b32433cbe16525043683dd76b5eebc4">More...</a><br /></td></tr>
<tr class="separator:a7b32433cbe16525043683dd76b5eebc4"><td class="memSeparator" colspan="2">&#160;</td></tr>
<tr class="memitem:a13a16e7cee3c24cf0d80b84440d7f7ac"><td class="memItemLeft" align="right" valign="top"><a class="el" href="namespace_l_o_b.html#a98c8cdadc7da7cd760e1a6dede850854">Count</a>&#160;</td><td class="memItemRight" valign="bottom"><a class="el" href="class_l_o_b_1_1_limit_order_book.html#a13a16e7cee3c24cf0d80b84440d7f7ac">count</a> () const</td></tr>
<tr class="memdesc:a13a16e7cee3c24cf0d80b84440d7f7ac"><td class="mdescLeft">&#160;</td><td class="mdescRight">Return the total number of orders in the book.  <a href="class_l_o_b_1_1_limit_order_book.html#a13a16e7cee3c24cf0d80b84440d7f7ac">More...</a><br /></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>An order book for managing <a class="el" href="struct_l_o_b_1_1_limit.html" title="A price limit containing a FIFO queue of Order objects.">Limit</a> / <a class="el" href="struct_l_o_b_1_1_order.html" title="A single order in the LimitOrderBook.">Order</a> objects in a continuous double auction. </p>
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Abstract Domain Model of the Limit Order Book</div></div>
  </div><h2 class="groupheader">Member Function Documentation</h2>
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<h2 class="memtitle"><span class="permalink"><a href="#a387f091324bb052d38c8532ab508ab7c">&#9670;&nbsp;</a></span>best()</h2>

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          <td class="memname"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> LOB::LimitOrderBook::best </td>
          <td>(</td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#ac0757a974349160aa795b45451948db6">Side</a>&#160;</td>
          <td class="paramname"><em>side</em></td><td>)</td>
          <td> const</td>
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<p>Return the best price for the given side. </p>
<dl class="params"><dt>Parameters</dt><dd>
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    <tr><td class="paramname">side</td><td>the side to get the best price from </td></tr>
  </table>
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<dl class="section return"><dt>Returns</dt><dd>the best price on the given side of the book </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a7b2ad9b29403af9a5079176aefb009ce">&#9670;&nbsp;</a></span>best_buy()</h2>

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          <td class="memname"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> LOB::LimitOrderBook::best_buy </td>
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<p>Return the best buy price. </p>
<dl class="section return"><dt>Returns</dt><dd>the best bid price in the book </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#afd8dd7bccdcffee233c780fe445e1c01">&#9670;&nbsp;</a></span>best_sell()</h2>

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          <td class="memname"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> LOB::LimitOrderBook::best_sell </td>
          <td>(</td>
          <td class="paramname"></td><td>)</td>
          <td> const</td>
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<p>Return the best sell price. </p>
<dl class="section return"><dt>Returns</dt><dd>the best ask price in the book </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#af94adea77f7dad19b4dd061d69a96d91">&#9670;&nbsp;</a></span>cancel()</h2>

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          <td class="memname">void LOB::LimitOrderBook::cancel </td>
          <td>(</td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a>&#160;</td>
          <td class="paramname"><em>order_id</em></td><td>)</td>
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<p>Cancel an existing order in the book. </p>
<dl class="params"><dt>Parameters</dt><dd>
  <table class="params">
    <tr><td class="paramname">order_id</td><td>the ID of the order to cancel </td></tr>
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  </dd>
</dl>

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<a id="a13a16e7cee3c24cf0d80b84440d7f7ac"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a13a16e7cee3c24cf0d80b84440d7f7ac">&#9670;&nbsp;</a></span>count()</h2>

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          <td class="paramname"></td><td>)</td>
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<p>Return the total number of orders in the book. </p>
<dl class="section return"><dt>Returns</dt><dd>the total count of orders in the book </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a467bc9491b867ec41ae85a1b93953717">&#9670;&nbsp;</a></span>count_at()</h2>

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          <td>(</td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td>
          <td class="paramname"><em>price</em></td><td>)</td>
          <td> const</td>
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<p>Return the total number of orders at the given limit price. </p>
<dl class="params"><dt>Parameters</dt><dd>
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    <tr><td class="paramname">price</td><td>the limit price to get the volume for </td></tr>
  </table>
  </dd>
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<dl class="section return"><dt>Returns</dt><dd>the volume for the given limit price </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a7b32433cbe16525043683dd76b5eebc4">&#9670;&nbsp;</a></span>count_buy()</h2>

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          <td class="memname"><a class="el" href="namespace_l_o_b.html#a98c8cdadc7da7cd760e1a6dede850854">Count</a> LOB::LimitOrderBook::count_buy </td>
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          <td class="paramname"></td><td>)</td>
          <td> const</td>
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<p>Return the total number of orders on the buy side of the book. </p>
<dl class="section return"><dt>Returns</dt><dd>the total count of orders on the buy side of the book </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a3f67e339651390feb7171cea1bbd5c91">&#9670;&nbsp;</a></span>count_sell()</h2>

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<p>Return the total number of orders on the sell side of the book. </p>
<dl class="section return"><dt>Returns</dt><dd>the total count of orders on the sell side of the book </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a47a0fe3f7ac4da1b6ce80e0902ef0473">&#9670;&nbsp;</a></span>get()</h2>

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          <td class="memname">const <a class="el" href="struct_l_o_b_1_1_order.html">Order</a>&amp; LOB::LimitOrderBook::get </td>
          <td>(</td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a>&#160;</td>
          <td class="paramname"><em>order_id</em></td><td>)</td>
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<p>Get the order with given ID. </p>
<dl class="params"><dt>Parameters</dt><dd>
  <table class="params">
    <tr><td class="paramname">order_id</td><td>the order ID of the order to get </td></tr>
  </table>
  </dd>
</dl>
<dl class="section return"><dt>Returns</dt><dd>a pointer to the order with given order ID </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a967430745df666a98b00d169bf14cee3">&#9670;&nbsp;</a></span>has()</h2>

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          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a>&#160;</td>
          <td class="paramname"><em>order_id</em></td><td>)</td>
          <td> const</td>
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<p>Return true if the book has an order with given ID, false otherwise. </p>
<dl class="params"><dt>Parameters</dt><dd>
  <table class="params">
    <tr><td class="paramname">order_id</td><td>the order ID of the order to check for existence of </td></tr>
  </table>
  </dd>
</dl>
<dl class="section return"><dt>Returns</dt><dd>true if the book has an order with given ID, false otherwise </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a8aba12b5f75a21fe026e85606cbca2fd">&#9670;&nbsp;</a></span>last_best()</h2>

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          <td class="memname"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a> LOB::LimitOrderBook::last_best </td>
          <td>(</td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#ac0757a974349160aa795b45451948db6">Side</a>&#160;</td>
          <td class="paramname"><em>side</em></td><td>)</td>
          <td> const</td>
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<p>Return the best price for the given side. </p>
<dl class="params"><dt>Parameters</dt><dd>
  <table class="params">
    <tr><td class="paramname">side</td><td>the side to get the best price from </td></tr>
  </table>
  </dd>
</dl>
<dl class="section return"><dt>Returns</dt><dd>the best price on the given side of the book </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#ac9bdd886adeb616798dab28ab8e07ab1">&#9670;&nbsp;</a></span>last_best_buy()</h2>

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          <td class="paramname"></td><td>)</td>
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<p>Return the last best buy price. </p>
<dl class="section return"><dt>Returns</dt><dd>the best bid price in the book </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a921ec224ef6f9b7f3033f8d56b452da6">&#9670;&nbsp;</a></span>last_best_sell()</h2>

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          <td class="paramname"></td><td>)</td>
          <td> const</td>
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<p>Return the last best sell price. </p>
<dl class="section return"><dt>Returns</dt><dd>the best bid price in the book </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#ad69a10a7e1f026a2e055678b493533fa">&#9670;&nbsp;</a></span>last_price()</h2>

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<p>Return the current price of the asset using last prices. </p>
<dl class="section return"><dt>Returns</dt><dd>the last midpoint price </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a0701f5738fba67af36a47983c38dd9c1">&#9670;&nbsp;</a></span>limit()</h2>

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          <td class="memname">void LOB::LimitOrderBook::limit </td>
          <td>(</td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#ac0757a974349160aa795b45451948db6">Side</a>&#160;</td>
          <td class="paramname"><em>side</em>, </td>
        </tr>
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          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a>&#160;</td>
          <td class="paramname"><em>order_id</em>, </td>
        </tr>
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          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a1d5eee8595d35bc6f2b8372e44cd8dd7">Quantity</a>&#160;</td>
          <td class="paramname"><em>quantity</em>, </td>
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          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td>
          <td class="paramname"><em>price</em>&#160;</td>
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          <td>)</td>
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<p>Add a new order to the book. </p>
<dl class="params"><dt>Parameters</dt><dd>
  <table class="params">
    <tr><td class="paramname">side</td><td>whether the order is a buy (true) or sell (false) </td></tr>
    <tr><td class="paramname">order_id</td><td>the ID for the order </td></tr>
    <tr><td class="paramname">quantity</td><td>the number of shares to buy </td></tr>
    <tr><td class="paramname">price</td><td>the limit/market price for the order </td></tr>
  </table>
  </dd>
</dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a1fc2e7e8d44b57c21be04aea96a208ef">&#9670;&nbsp;</a></span>limit_buy()</h2>

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          <td class="memname">void LOB::LimitOrderBook::limit_buy </td>
          <td>(</td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a>&#160;</td>
          <td class="paramname"><em>order_id</em>, </td>
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          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a1d5eee8595d35bc6f2b8372e44cd8dd7">Quantity</a>&#160;</td>
          <td class="paramname"><em>quantity</em>, </td>
        </tr>
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          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td>
          <td class="paramname"><em>price</em>&#160;</td>
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<p>Add a new buy limit order to the book. </p>
<dl class="params"><dt>Parameters</dt><dd>
  <table class="params">
    <tr><td class="paramname">order_id</td><td>the ID for the order </td></tr>
    <tr><td class="paramname">quantity</td><td>the number of shares to buy </td></tr>
    <tr><td class="paramname">price</td><td>the limit price for the order </td></tr>
  </table>
  </dd>
</dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a5c93f74cfed393b21ef5b88787b95b79">&#9670;&nbsp;</a></span>limit_sell()</h2>

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          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a>&#160;</td>
          <td class="paramname"><em>order_id</em>, </td>
        </tr>
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          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a1d5eee8595d35bc6f2b8372e44cd8dd7">Quantity</a>&#160;</td>
          <td class="paramname"><em>quantity</em>, </td>
        </tr>
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          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td>
          <td class="paramname"><em>price</em>&#160;</td>
        </tr>
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          <td>)</td>
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<p>Add a new sell limit order to the book. </p>
<dl class="params"><dt>Parameters</dt><dd>
  <table class="params">
    <tr><td class="paramname">order_id</td><td>the ID for the order </td></tr>
    <tr><td class="paramname">quantity</td><td>the number of shares to sell </td></tr>
    <tr><td class="paramname">price</td><td>the limit price for the order </td></tr>
  </table>
  </dd>
</dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a1c7a81804946e116e376c550154a092d">&#9670;&nbsp;</a></span>market()</h2>

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          <td>(</td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#ac0757a974349160aa795b45451948db6">Side</a>&#160;</td>
          <td class="paramname"><em>side</em>, </td>
        </tr>
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          <td></td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a>&#160;</td>
          <td class="paramname"><em>order_id</em>, </td>
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          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a1d5eee8595d35bc6f2b8372e44cd8dd7">Quantity</a>&#160;</td>
          <td class="paramname"><em>quantity</em>&#160;</td>
        </tr>
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<p>Execute a market order. </p>
<dl class="params"><dt>Parameters</dt><dd>
  <table class="params">
    <tr><td class="paramname">side</td><td>whether the order is a sell or buy order </td></tr>
    <tr><td class="paramname">order_id</td><td>the ID for the order </td></tr>
    <tr><td class="paramname">quantity</td><td>the quantity of the market order </td></tr>
  </table>
  </dd>
</dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a64a58b51c467ef7ffcf97d806f5282ca">&#9670;&nbsp;</a></span>market_buy()</h2>

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          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a>&#160;</td>
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          <td class="paramkey"></td>
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          <td class="paramname"><em>quantity</em>&#160;</td>
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          <td>)</td>
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<p>Execute a buy market order. </p>
<dl class="params"><dt>Parameters</dt><dd>
  <table class="params">
    <tr><td class="paramname">order_id</td><td>the ID for the order </td></tr>
    <tr><td class="paramname">quantity</td><td>the quantity of the market order </td></tr>
  </table>
  </dd>
</dl>

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<h2 class="memtitle"><span class="permalink"><a href="#abc553a89a69dba889a5d338645376dce">&#9670;&nbsp;</a></span>market_sell()</h2>

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          <td>(</td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a482ac950a9cb23fdb93c66d6117a8f74">UID</a>&#160;</td>
          <td class="paramname"><em>order_id</em>, </td>
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          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a1d5eee8595d35bc6f2b8372e44cd8dd7">Quantity</a>&#160;</td>
          <td class="paramname"><em>quantity</em>&#160;</td>
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          <td>)</td>
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<p>Execute a sell market order. </p>
<dl class="params"><dt>Parameters</dt><dd>
  <table class="params">
    <tr><td class="paramname">order_id</td><td>the ID for the order </td></tr>
    <tr><td class="paramname">quantity</td><td>the quantity in the market order </td></tr>
  </table>
  </dd>
</dl>

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<h2 class="memtitle"><span class="permalink"><a href="#acbdb9e8e207eed2924ef09c4b49472a6">&#9670;&nbsp;</a></span>price()</h2>

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          <td> const</td>
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<p>Return the current price of the asset. </p>
<dl class="section return"><dt>Returns</dt><dd>the best price in the book (the midpoint price) </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#abbc7458a5a780d29e57122bb4d233db5">&#9670;&nbsp;</a></span>reduce()</h2>

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          <td class="memname">void LOB::LimitOrderBook::reduce </td>
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          <td class="paramname"><em>order_id</em>, </td>
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          <td class="paramkey"></td>
          <td></td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a1d5eee8595d35bc6f2b8372e44cd8dd7">Quantity</a>&#160;</td>
          <td class="paramname"><em>quantity</em>&#160;</td>
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<p>Reduce the quantity of the order with given ID. </p>
<dl class="params"><dt>Parameters</dt><dd>
  <table class="params">
    <tr><td class="paramname">order_id</td><td>the id of the order to reduce the quantity of </td></tr>
    <tr><td class="paramname">quantity</td><td>the amount to remove from the order </td></tr>
  </table>
  </dd>
</dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a38ef9caa257416d0290749d3e33662e8">&#9670;&nbsp;</a></span>volume() <span class="overload">[1/2]</span></h2>

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          <td class="memname"><a class="el" href="namespace_l_o_b.html#a0860e916768a8e3baaadf73c1a6f9c58">Volume</a> LOB::LimitOrderBook::volume </td>
          <td>(</td>
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<p>Return the total volume for the book. </p>
<dl class="section return"><dt>Returns</dt><dd>the total volume of orders in the book (for both sides) </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#ac9b18049862c09ce70c87d679a83bd9f">&#9670;&nbsp;</a></span>volume() <span class="overload">[2/2]</span></h2>

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          <td class="memname"><a class="el" href="namespace_l_o_b.html#a0860e916768a8e3baaadf73c1a6f9c58">Volume</a> LOB::LimitOrderBook::volume </td>
          <td>(</td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td>
          <td class="paramname"><em>price</em></td><td>)</td>
          <td> const</td>
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<p>Return the volume at the given limit price. </p>
<dl class="params"><dt>Parameters</dt><dd>
  <table class="params">
    <tr><td class="paramname">price</td><td>the limit price to get the volume for </td></tr>
  </table>
  </dd>
</dl>
<dl class="section return"><dt>Returns</dt><dd>the volume for the given limit price </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a23f833cfd794e37a0eb0dc0d1518b832">&#9670;&nbsp;</a></span>volume_buy() <span class="overload">[1/2]</span></h2>

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          <td class="paramname"></td><td>)</td>
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<p>Return the total volume for the buy side of the book. </p>
<dl class="section return"><dt>Returns</dt><dd>the total volume on the buy side of the book </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a7d1612e63e88d3dc75046d3d653f1312">&#9670;&nbsp;</a></span>volume_buy() <span class="overload">[2/2]</span></h2>

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          <td>(</td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td>
          <td class="paramname"><em>price</em></td><td>)</td>
          <td> const</td>
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<p>Return the total volume for the buy side of the book. </p>
<dl class="params"><dt>Parameters</dt><dd>
  <table class="params">
    <tr><td class="paramname">price</td><td>the limit price to get the volume for </td></tr>
  </table>
  </dd>
</dl>
<dl class="section return"><dt>Returns</dt><dd>the volume for the given limit price </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#aba2ae20f97a5e485dc04c7eee730b877">&#9670;&nbsp;</a></span>volume_buy_best()</h2>

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          <td class="paramname"></td><td>)</td>
          <td> const</td>
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<p>Return the volume at the best sell price. </p>
<dl class="section return"><dt>Returns</dt><dd>the volume of buy orders at the best price </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#a7eade388226acdf65eb9804e90339cc3">&#9670;&nbsp;</a></span>volume_sell() <span class="overload">[1/2]</span></h2>

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          <td class="paramname"></td><td>)</td>
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<p>Return the total volume for the sell side of the book. </p>
<dl class="section return"><dt>Returns</dt><dd>the total volume on the sell side of the book </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#aa767c4ecce229b3393159ffd1cf481bb">&#9670;&nbsp;</a></span>volume_sell() <span class="overload">[2/2]</span></h2>

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          <td>(</td>
          <td class="paramtype"><a class="el" href="namespace_l_o_b.html#a0170482547b909e8a53b5ae42d18e23a">Price</a>&#160;</td>
          <td class="paramname"><em>price</em></td><td>)</td>
          <td> const</td>
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<p>Return the total volume for the sell side of the book. </p>
<dl class="params"><dt>Parameters</dt><dd>
  <table class="params">
    <tr><td class="paramname">price</td><td>the limit price to get the volume for </td></tr>
  </table>
  </dd>
</dl>
<dl class="section return"><dt>Returns</dt><dd>the volume for the given limit price </dd></dl>

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<h2 class="memtitle"><span class="permalink"><a href="#ac03f86cfcc50a37b72c6d7f443c57123">&#9670;&nbsp;</a></span>volume_sell_best()</h2>

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          <td class="paramname"></td><td>)</td>
          <td> const</td>
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<p>Return the volume at the best sell price. </p>
<dl class="section return"><dt>Returns</dt><dd>the volume of sell orders at the best price </dd></dl>

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<hr/>The documentation for this class was generated from the following file:<ul>
<li>include/<a class="el" href="limit__order__book_8hpp_source.html">limit_order_book.hpp</a></li>
</ul>
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